If you want to experiment with building applications, you need to install all four pieces. The runtime components are the actual framework bits, the windows sdk contains the documentation, and the visual studio extensions contain the designers and new project types that support building these applications with Visual Studio 2005.

Note:One thing to be aware of is that the Windows SDK updates the .Net Compact Framework 2.0. If you get an error about the .Net Compact Framework 2.0 when you try to install the Windows SDK, just uninstall it from your system first. The install of the Windows SDK will replace it with the new version.

The January CTP is noteworthy because it allows you to obtain a "Go-Live" license for the Windows Communication Foundation and the Windows Workflow Foundation. This license allows you, under limited circumstances, to use the CTP in a live operating environment. More information can be found here: